Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0066
Annualized Std Dev 0.0316
Annualized Sharpe (Rf=0%) 0.2087

Row

Daily Return Statistics

Close
Observations 3511.0000
NAs 1.0000
Minimum -0.0332
Quartile 1 -0.0006
Median 0.0000
Arithmetic Mean 0.0000
Geometric Mean 0.0000
Quartile 3 0.0006
Maximum 0.0262
SE Mean 0.0000
LCL Mean (0.95) 0.0000
UCL Mean (0.95) 0.0001
Variance 0.0000
Stdev 0.0020
Skewness -1.4641
Kurtosis 63.8055

Downside Risk

Close
Semi Deviation 0.0015
Gain Deviation 0.0016
Loss Deviation 0.0018
Downside Deviation (MAR=210%) 0.0085
Downside Deviation (Rf=0%) 0.0014
Downside Deviation (0%) 0.0014
Maximum Drawdown 0.0836
Historical VaR (95%) -0.0022
Historical ES (95%) -0.0043
Modified VaR (95%) -0.0014
Modified ES (95%) -0.0014
From Trough To Depth Length To Trough Recovery
2008-03-20 2008-10-13 2008-12-17 -0.0836 190 144 46
2010-11-05 2018-11-08 2020-03-03 -0.0529 2345 2017 328
2020-03-09 2020-03-19 2020-04-09 -0.0465 24 9 15
2009-01-16 2009-03-10 2009-11-27 -0.0325 219 36 183
2009-01-02 2009-01-05 2009-01-14 -0.0168 9 2 7

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2007 NA NA NA -0.1 -0.5 0.1 -0.4 0 -0.4 -0.1 0.2 0.3 -0.9
2008 -0.2 0.4 -0.7 -0.7 0.1 -0.3 -0.3 -0.1 -2.9 -0.5 0.1 0.4 -4.7
2009 0 0.3 -0.3 -0.2 -0.3 -0.2 0.1 -0.2 -0.1 0.2 -0.1 -0.2 -1.1
2010 -0.3 -0.1 -0.3 0.1 0 -0.3 0.1 -0.4 -0.1 -0.2 -0.5 0.2 -1.7
2011 -0.3 -0.1 -0.2 0.1 0 -0.3 -0.1 0 0.1 0 -0.1 0.1 -0.8
2012 0 -0.1 -0.1 -0.2 -0.1 0 -0.2 0.2 -0.1 -0.1 0.1 0 -0.7
2013 -0.1 -0.1 -0.2 0 0 0 -0.2 0 -0.1 -0.1 0 0 -1
2014 0.1 0 -0.1 -0.1 0 -0.1 0.1 0.1 0.1 0 -0.1 0.1 0.1
2015 0.2 0.1 -0.1 -0.2 -0.2 -0.3 0.1 0 -0.1 0 0 0.1 -0.3
2016 -0.2 -0.3 -0.2 0.1 -0.1 0 -0.2 -0.1 0 -0.1 -0.2 0 -1.2
2017 -0.2 -0.3 0.1 -0.2 -0.1 0 -0.1 -0.2 -0.1 -0.2 -0.1 0 -1.5
2018 -0.2 0 0.1 -0.2 -0.3 -0.1 -0.2 0 -0.2 -0.1 0 0.1 -1.1
2019 -0.4 -0.3 -0.4 -0.3 0.2 -0.2 0.2 0 0 -0.2 0 0 -1.3
2020 0.2 0.3 -0.4 -0.1 -0.1 -0.1 0.1 -0.1 -0.1 0 -0.2 0 -0.5
2021 -0.1 0 0 NA NA NA NA NA NA NA NA NA -0.2

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Price Chart

Row

Rolling Performance Chart

Row

Snail Trail Chart